For all the fuss that there is about bakeries around Austin, there is only one place where I go for my sweet tooth - La Mexicana.
This Mexican bakery has every possible choice for authentic mexican pastries imaginable. They also have breakfast tacos and other lunch-fare as well as some tables inside. This means you can get your chorizo and egg taco and top it off with one (or two) of their chocolate conchas.
If you're in the mood for something sweet and comforting, this South-side bakery fits the bill.